GFD CAPE Ratio Additions

4/10/2015 - Posted by Bryan Taylor

Global Financial Data has added 250 CAPE Ratios to its database. The GFD CAPE Ratios are drawn from over 40 countries and include global indices such as World excluding USA index. The GFD CAPE ratios are updated on a monthly basis.

The CAPE Ratio is the cyclically-adjusted price-to-earnings ratio, also known as the Shiller P/E, which was developed by the Nobel Prize winning economist Robert Shiller. GFD’s CAPE Ratios are a moving average calculated as the inflation-adjusted price of the stock index divided by an average of ten years of inflation-adjusted earnings for the index. Graham and Dodd, in their classic book, Security Analysis, argued in favor of smoothing out P/E Ratios to avoid the volatility inherent in the ratio.

Several new CAPE Ratios have been added for the United States, including CAPE Ratios by sector and by Capitalization.

New United States CAPE Ratios:

S&P 400 Midcap, 600 Small Cap and 1500 Supercomposite

Dow Jones Transportation and Utilities Average

S&P Financials and Utilities

The CAPE Ratios which Robert Shiller calculated used a 10-year moving average. Some analysts feel that a 10-year moving average may be too short or too long to capture the CAPE Ratio most accurately. For this reason, GFD has added CAPE Ratios for 3 years, 5 years, 7 years, 20 years and 30 years. Subscribers can use these different moving averages to test their models and see which CAPE Ratio best fits their market analysis.

To create the GFD CAPE Ratios, a new interactive tool is available from GFD Finaeon that allows you to choose the country and the moving average for the CAPE Ratio you want. When you log into GFD Finaeon, go to the Tools section under the Finaeon Tree. There you will find the CAPE Ratio tool. After choosing the country and moving average, you can create the CAPE Ratio you need for your analysis. You can then download the data or generate a custom Aeon Graph.
The CAPE Ratios for the United States have the longest histories, starting in 1881 for the S&P Composite and in 1929 for the Dow Jones Industrial Average. CAPE Ratios for the United Kingdom begin in 1937, and CAPE Ratios for Canada and Japan begin in 1966. CAPE Ratios for many other developed countries begin in 1979 and those for emerging markets begin in 1998. Global Financial Data has added a Main Indicator for the CAPE Ratios so you can easily access the data.

To access GFD’s CAPE Ratios, to get a list of GFD’s CAPE Ratios, or if you have any questions about these additions, call today to speak to one of our experts at 877-DATA-999 or 949-542-4200.